Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0929 |
| Annualized Std Dev | 0.2364 |
| Annualized Sharpe (Rf=0%) | 0.3928 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4788.0000 |
| NAs | 1.0000 |
| Minimum | -0.1425 |
| Quartile 1 | -0.0059 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1124 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0149 |
| Skewness | -0.0480 |
| Kurtosis | 7.3302 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0107 |
| Gain Deviation | 0.0106 |
| Loss Deviation | 0.0114 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.5625 |
| Historical VaR (95%) | -0.0235 |
| Historical ES (95%) | -0.0357 |
| Modified VaR (95%) | -0.0220 |
| Modified ES (95%) | -0.0344 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2012-03-26 | -0.5625 | 1108 | 339 | 769 |
| 2001-12-07 | 2002-10-09 | 2007-04-25 | -0.5551 | 1285 | 166 | 1119 |
| 2020-02-20 | 2020-03-23 | 2020-06-10 | -0.3089 | 78 | 23 | 55 |
| 2018-08-30 | 2018-12-24 | 2019-04-16 | -0.2406 | 157 | 80 | 77 |
| 2015-12-07 | 2016-02-11 | 2016-07-18 | -0.1536 | 154 | 46 | 108 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.5 | -1 | -0.5 |
| 2002 | 1.1 | 4.2 | 0.9 | -6 | -1.1 | 0.5 | -1.8 | -2.8 | 3.8 | 1.3 | 4.1 | -0.6 | 3.2 |
| 2003 | -0.5 | -0.8 | 0 | -0.1 | 1.2 | -0.1 | 0 | 1.1 | 1.9 | 0.4 | 1.6 | 0.1 | 4.8 |
| 2004 | 1.2 | 0.2 | 1.9 | -0.3 | -0.4 | -1.3 | 0.9 | 0.5 | 2.1 | 0.4 | 1.4 | 0 | 6.7 |
| 2005 | 0.7 | 0.3 | -0.2 | 0.3 | 1 | 0.2 | 0 | 0 | 0.3 | -0.1 | 1.7 | -0.4 | 3.9 |
| 2006 | 0.4 | 1.4 | 0.3 | -0.5 | 1.2 | 0.6 | -1.5 | 0.5 | 0.5 | -0.9 | -1.1 | 0.3 | 1 |
| 2007 | -0.2 | -0.6 | -0.1 | 0.4 | 0.6 | -0.6 | 1.7 | 1.5 | 0.9 | -1.8 | -0.5 | -0.8 | 0.2 |
| 2008 | 1.8 | -2.5 | 3.2 | 3.1 | 0.6 | -0.1 | 0 | -1.5 | -0.4 | 1.4 | -6.2 | 0.8 | 0 |
| 2009 | -3.1 | -0.3 | 2.5 | 1.3 | 3.4 | 0.6 | 0.2 | -1.5 | -2.6 | -2.5 | 1.9 | -1 | -1.4 |
| 2010 | 0.8 | 1.2 | 0.6 | -1.7 | -1.1 | -0.1 | -0.3 | 2.8 | 0.2 | 0 | 2.3 | -0.1 | 4.8 |
| 2011 | 1.8 | -1.5 | -0.1 | 0.1 | -2.1 | 1.5 | -0.3 | -0.8 | -2.6 | -2.7 | 0.2 | -0.3 | -6.6 |
| 2012 | 1 | 0.3 | -0.1 | 0.2 | -2.9 | 3.1 | -0.4 | 0.7 | -0.1 | 0.9 | -0.1 | 1.9 | 4.5 |
| 2013 | 0.9 | 0 | -0.9 | -0.8 | -1.2 | 0.9 | 0.9 | -0.6 | 1 | 0.1 | 0.5 | 0.5 | 1.2 |
| 2014 | 0 | -0.1 | 1.2 | -0.2 | 0.3 | 1.1 | -0.7 | 0.5 | -1.8 | 2 | -0.8 | -0.8 | 0.6 |
| 2015 | -1.6 | -0.5 | -0.4 | 1.1 | 0 | 0.8 | -0.3 | -3.2 | 0.1 | -0.7 | 1.1 | -1.3 | -4.7 |
| 2016 | 0.2 | 2.8 | 0.4 | -1 | -0.1 | 0.2 | 0.2 | 0.3 | 0.6 | -0.7 | -2.4 | -0.8 | -0.5 |
| 2017 | 0.6 | 1.4 | -0.2 | 0.8 | 0.3 | -0.1 | 0.4 | 0.1 | 0.9 | 0.4 | -0.6 | -0.4 | 3.6 |
| 2018 | -0.1 | -1.8 | 2.1 | 1 | 1.8 | 0.3 | 0.8 | 0.1 | 0.7 | 1.3 | 0.4 | 0.5 | 7.2 |
| 2019 | 0.5 | 0.9 | 1.3 | -0.2 | -1.7 | 1.5 | -0.4 | 0.2 | -0.8 | 1.5 | -0.6 | 0.4 | 2.7 |
| 2020 | -2.7 | 1.1 | -5.3 | -2.6 | 0.2 | 0.3 | 1.9 | 1.8 | 1.1 | -2.2 | 1.3 | 0 | -5.3 |
| 2021 | 2.7 | 3 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2001-11-16 55.6 SPY 114. -0.0044 0.0145 0.0646 -0.0412 -0.163 NA NA <NA> NA NA NA
2 2001-11-20 55.6 SPY 115. -0.0084 0.0022 0.0487 -0.0324 -0.175 NA NA <NA> NA NA NA
3 2001-11-27 55.9 SPY 115. -0.0043 -0.00290 0.0463 -0.0136 -0.143 NA NA <NA> NA NA NA
4 2001-12-06 60.1 SPY 117. -0.0005 0.0215 0.044 0.0279 -0.113 NA NA <NA> NA NA NA
5 2001-12-07 59.0 SPY 117. -0.0066 0.022 0.0384 0.0277 -0.118 NA NA <NA> NA NA NA
6 2001-12-10 57.8 SPY 114. -0.0187 0.0089 0.0158 0.006 -0.142 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
